After Downloading theme extract it.
Every themes comes UI or Textures folder, some with both.
Copy that folders to Warcraft 3 directory (eg. C:\Program Files\WarCraft III).
After that run CUSTOMBG.reg, theme is now installed.
To remove theme run UNINSTALL.reg
If you are Linux installed running CUSTOMBG.reg, will not work. You need to start regedit (from terminal). In menu chose Import registry and select CUSTOMBG.reg. Same way is for UNINSTALL.reg.
If you have already used some themes before installing new theme delete UI and Textures folders from Warcraft 3 directory.
Some themes may have other installation way, if they have a installation notes are provided.